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R: p-values of the CADF test for unit roots

CADFpvalues

R Documentation

p-values of the CADF test for unit roots

Description

The asymptotic p-values of the Hansen's (1995) Covariate-Augmented Dickey Fuller (CADF) test for a unit root are computed using the approach outlined in Costantini et al. (2007). The function can be used also to compute the p-values of the ordinary Dickey-Fuller distribution.

Usage

CADFpvalues(t0, rho2 = 0.5, type=c("trend", "drift", "none"))

Arguments

`t0`	the value of the test statistic.
`rho2`	the value of the long-run correlation. When `rho2 = 1` is set, the p-values of the ordinary Dickey-Fuller are computed.
`type`	defines the deterministic kernel used in the test. It accepts the values used in package `urca`. It specifies if the underlying model must be with linear trend (`"trend"`, the default), with constant (`"drift"`) or without constant (`"none"`).

Value

p.value, a scalar containing the estimated asymptotic p-value of the test.

Author(s)

Claudio Lupi

References

Hansen BE (1995). Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power, Econometric Theory, 11(5), 1148–1171.

Costantini M, Lupi C, Popp S (2007). A Panel-CADF Test for Unit Roots, University of Molise, Economics & Statistics Discussion Paper 39/07. http://econpapers.repec.org/paper/molecsdps/esdp07039.htm

Examples

  CADFpvalues(t0=-1.7, rho2=0.20, type="trend")

Results


R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
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Type 'license()' or 'licence()' for distribution details.

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Type 'contributors()' for more information and
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Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(CADFtest)
Loading required package: dynlm
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: sandwich
Loading required package: tseries
Loading required package: urca
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/CADFtest/CADFpvalues.Rd_%03d_medium.png", width=480, height=480)
> ### Name: CADFpvalues
> ### Title: p-values of the CADF test for unit roots
> ### Aliases: CADFpvalues
> 
> ### ** Examples
> 
>   CADFpvalues(t0=-1.7, rho2=0.20, type="trend")
[1] 0.2189253
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>